Study: Buy WOCKPHARMA when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy WOCKPHARMA when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy WOCKPHARMA at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
12507.9674357.144393.969331.42-5022.62-6238.290.871.170.016358.28
2-3929.373442.866384.547187.21-5770.73-8593.471.110.83-0.021-561.33
36.1473442.868870.5517624.52-6651.38-11133.531.3312.2e-050.88
419686.0374357.1410255.6515933.41-7112.19-9946.591.441.920.0682812.29
514097.2973442.8612427.3620821.77-5796.19-11845.72.141.610.0462013.9
624820.3473442.8616337.5226767.08-6048.06-13554.92.72.030.0663545.76
728031.8274357.1412257.9424045.45-6999.98-13673.591.752.330.0814004.55
825684.8374357.1412744.3731761.13-8430.89-14979.231.512.020.0623669.26
932567.1374357.1415068.0434007.13-9235.01-18065.281.632.180.0724652.45
1039774.774357.1418413.4545025.76-11293.03-19821.961.632.170.0695682.1
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
WOCKPHARMA Performance, X=7, Profit Factor:2.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012131 Jan 2012 (12.02%)
2007302 Mar 2007 (-0.95%), 21 Mar 2007 (2.02%), 31 Aug 2007 (3.81%)
2006115 Nov 2006 (-6.84%)
2003107 Jan 2003 (-2.71%)
2000120 Dec 2000 (6.67%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
200trail-13.1750171.11124833.3317658.2951206.47-2557.76-3391.576.93.450.0664180.93
atrnil37.5659537.3394544.4423776.9228856.6-7114.07-8999.743.342.670.16615.26
atrtrail-15.3333829.9893633.3321681.7547905.8-5202.55-8334.774.172.080.0533758.89
atrnil23.6727834.7794544.4415851.2819237.73-7114.07-8999.742.231.780.0633092.75
atrtrail23.5615958.7293633.3315724.6719237.73-5202.55-8334.773.021.510.0411773.19
atrtrail34.2214780.7993633.3315332.0228856.6-5202.55-8334.772.951.470.0341642.31
200trail31.178674.75124833.337284.210336.77-2557.76-3391.572.851.420.034722.9
200nil31.277015.32113827.279028.3710336.77-2508.72-3391.573.61.350.029637.76
200nil213418.33124833.335970.096891.18-2557.76-3391.572.331.170.016284.86
200trail213418.33124833.335970.096891.18-2557.76-3391.572.331.170.016284.86

In the table above, row 1 shows the best exit criterion. Profit factor is 3.45. Strategy is very good and impressively bullish. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 2.09%, which is very good. Sharpe Ratio is 0.066, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WOCKPHARMA Performance, Profit Factor:3.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012231 Jan 2012 (-1.15%), 01 Feb 2012 (25.6%)
2007602 Mar 2007 (-1.7%), 07 Mar 2007 (-1.04%), 09 Mar 2007 (-1.14%), 21 Mar 2007 (1.03%), 26 Mar 2007 (-1.65%), 31 Aug 2007 (3.06%)
2006115 Nov 2006 (-1.21%)
2003107 Jan 2003 (-1.03%)
2000220 Dec 2000 (-1.32%), 29 Dec 2000 (5.62%)



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